Report Industry Investment Rating No relevant information provided. Core Viewpoints No clear core viewpoints are presented in the given text. The report mainly provides data on various option products, including their prices, trading volumes, open interests, and implied volatilities, along with some trading suggestions for volatility trading and no - risk arbitrage. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 918,708 lots, the open interest was 930,895 lots, the trading volume ratio of call options to put options was 1.54, and the weighted - average implied volatility was 18.03% [22]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [24]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.7% at the settlement price and 2.00% at the counter - price [28][30]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 854,566 lots, the open interest was 628,127 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 18.05% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve above and buy the month with the curve below for different months; sell options with points above the curve and buy options with points below the curve for the same month [38]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2% at the settlement price and 1.61% at the counter - price [41][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 1,394,196 lots, the open interest was 759,763 lots, the trading volume ratio of call options to put options was 1.29, and the weighted - average implied volatility was 22.49% [46]. - **Volatility Trading**: The same trading suggestions as above for different and same months [48]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.3% at the settlement price and 2.89% at the counter - price [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation 50ETF options on the day was 1,002,164 lots, the open interest was 769,146 lots, the trading volume ratio of call options to put options was 2.24, and the weighted - average implied volatility was 33.28% [57]. - **Volatility Trading**: Follow the same rules for different and same months [62]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 56.2% at the settlement price and 8.08% at the counter - price [64][66]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation 50ETF options on the day was 225,524 lots, the open interest was 264,533 lots, the trading volume ratio of call options to put options was 2.71, and the weighted - average implied volatility was 33.47% [68]. - **Volatility Trading**: Adopt the same trading suggestions for different and same months [73].

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - **Volatility Trading**: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the rule of high - point selling and low - point buying [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - **Volatility Trading**: Volatility trading suggestions are the same as above [51][52]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - **1.4 Huaxia SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - **Volatility Trading**: Follow the same volatility trading rules [65]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - **1.5 E Fund SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - **Volatility Trading**: Adopt the same volatility trading suggestions [76]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - **Volatility Trading**: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - **Risk - free Arbitrage**: No information provided in the document.

先锋期货期权日报 2025-8-13 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下,我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任,投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下,我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标的 | 平值期权隐 | 排名 | 标的30天历 | 排名 | 标的当同 | 排名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 中波索日 | | 真实波幅 | | | 1c2510 | 4.0% | 1 | 4.0% | 2 | 6.3% | 2 | | ps2510 | 3.8% | 2 | 4.3% | 1 | 3.6% | 6 | | si2510 | 3.3% | 3 | 3.3% | 5 | 3.8% | 4 | | ao2509 | 2.5% | 4 | 2.9% | 6 | 3.1% | 8 ...

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a futures and options daily report from Pioneer Futures on August 12, 2025. It presents volatility data of various option underlying assets and offers trading suggestions for different types of options on multiple exchanges. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange - **1.1 Shanghai 50ETF** - **Basic Information**: Provided the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options was 945,946 lots, the open interest was 956,178 lots, the trading volume ratio of call to put options was 1.55, and the weighted - average implied volatility was 13.46% [19][21]. - **Volatility Trading**: Suggested selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options above the curve and buy those below [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 6.30% at the settlement price and 0.74% at the counter - price [28][30]. - **1.2 Huatai - Ba瑞 CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Huatai - Ba瑞 CSI 300ETF options. The trading volume of the main - contract options was 694,870 lots, the open interest was 734,255 lots, the trading volume ratio of call to put options was 1.46, and the weighted - average implied volatility was 13.77% [31][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves. For the same month, sell options above the curve and buy those below [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 8.46% at the settlement price and 0.66% at the counter - price [41][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: Provided the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main - contract options was 910,867 lots, the open interest was 793,757 lots, the trading volume ratio of call to put options was 1.37, and the weighted - average implied volatility was 15.05% [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 43.9% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 802,085 lots, the open interest was 893,215 lots, the trading volume ratio of call to put options was 1.78, and the weighted - average implied volatility was 24.87% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 20.9% at the settlement price and 1.92% at the counter - price [64][66]. - **1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 167,234 lots, the open interest was 249,762 lots, the trading volume ratio of call to put options was 1.91, and the weighted - average implied volatility was 25.13% [67][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 7.11% at the settlement price and 0.99% at the counter - price [75][77]. 3.2 Options on the Shenzhen Stock Exchange - **2.1 Harvest CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main - contract options was 125,214 lots, the open interest was 152,364 lots, the trading volume ratio of call to put options was 1.34, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Similar trading suggestions as above [87]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 16.0% at the settlement price and 0.74% at the counter - price [90][92].

Report Date - The report is dated August 11, 2025 [1] Option Volatility Ranking Implied Volatility Ranking - lc2510 ranks 1st with an implied volatility of 6.0% [3] - ps2510 ranks 2nd with an implied volatility of 4.0% [3] - si2510 ranks 3rd with an implied volatility of 3.9% [3] 30 - day Historical Volatility Ranking - ps2510 ranks 1st with a 30 - day historical volatility of 4.5% [3] - fg509 ranks 2nd with a 30 - day historical volatility of 4.3% [3] - lc2510 ranks 3rd with a 30 - day historical volatility of 4.2% [3] Realized Volatility Ranking - si2510 ranks 1st with a realized volatility of 6.6% [3] - ps2510 ranks 2nd with a realized volatility of 6.4% [3] - lc2510 ranks 3rd with a realized volatility of 5.0% [3] Exchange - specific Option Analysis Shanghai Stock Exchange Options Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 650,390 lots, the open interest is 966,547 lots, the trading volume ratio of call to put options is 1.4, and the weighted average implied volatility is 13.31% [21] - **Volatility Trading**: Sell options from months with higher implied volatility curves and buy those from months with lower curves; sell options above the curve and buy those below the curve within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.49% at the settlement price and 1.73% at the counter - price [27][29] Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 658,750 lots, the open interest is 744,639 lots, the trading volume ratio of call to put options is 1.25, and the weighted average implied volatility is 13.97% [33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [35] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.35% at the settlement price and 0.48% at the counter - price [39][40] Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,100,668 lots, the open interest is 792,098 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 15.48% [43] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.5% at the counter - price [50][52] Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 312,393 lots, the open interest is 912,757 lots, the trading volume ratio of call to put options is 1.67, and the weighted average implied volatility is 24.48% [55] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.1% at the settlement price and 0.36% at the counter - price [62][64] E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 69,812 lots, the open interest is 242,298 lots, the trading volume ratio of call to put options is 2.35, and the weighted average implied volatility is 25.7% [67] - **Volatility Trading**: Similar trading suggestions as above [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.9% at the settlement price, and there is no return at the counter - price [74][76] Shenzhen Stock Exchange Options Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 119,568 lots, the open interest is 152,124 lots, the trading volume ratio of call to put options is 1.51, and the weighted average implied volatility is 15.07% [80] - **Volatility Trading**: Similar trading suggestions as above [84] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.6% at the settlement price and 1.29% at the counter - price [88][90] E Fund ChiNext ETF - **Basic Information**: The report provides the T - type quotation table of call and put option prices at different strike prices [91] - **Volatility Trading**: Not provided in the current content - **Risk - free Arbitrage**: Not provided in the current content

Group 1: Report Information - Report title: Pioneer Futures Options Daily Report [1] - Report date: August 7, 2025 [1] Group 2: Options Volatility Ranking - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] - For example, ps2510 has an implied volatility of 3.4% (ranked 1st), a 30 - day historical volatility of 4.4% (ranked 1st), and a true range of 3.8% (ranked 2nd) [3] Group 3: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future price fluctuations; the 30 - day historical volatility reflects past price movements; and the true range reflects the intraday price movement [6] - Volatility trading suggestions: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23][37][47] Group 4: Exchange - Specific Option Analysis 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - Basic information: The trading volume of the main options is 691,988 lots, the open interest is 938,390 lots, the volume ratio of call to put options is 1.35, and the weighted average implied volatility is 13.25% [21] - Volatility trading: Based on the implied volatility curves [23][25][26] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.44% at the settlement price and 0.32% at the counter - price [27][29] 4.1.2 Huatai - Berry SSE 300ETF - Basic information: The trading volume of the main options is 592,003 lots, the open interest is 737,739 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 14.27% [33] - Volatility trading: Based on the implied volatility curves [35][36][39] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 1.47% at the counter - price [40][42] 4.1.3 Southern CSI 500ETF - Basic information: The trading volume of the main options is 1,067,360 lots, the open interest is 765,766 lots, the volume ratio of call to put options is 1.18, and the weighted average implied volatility is 14.92% [45] - Volatility trading: Based on the implied volatility curves [48][49][50] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.5% at the settlement price and 13.7% at the counter - price [51][53] 4.1.4 Huaxia SSE STAR 50ETF - Basic information: The trading volume of the main options is 522,602 lots, the open interest is 919,347 lots, the volume ratio of call to put options is 1.75, and the weighted average implied volatility is 24.24% [56] - Volatility trading: Based on the implied volatility curves [58][61][62] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.67% at the settlement price and 0.87% at the counter - price [63][65] 4.1.5 E Fund SSE STAR 50ETF - Basic information: The trading volume of the main options is 132,102 lots, the open interest is 251,057 lots, the volume ratio of call to put options is 1.94, and the weighted average implied volatility is 25.02% [68] - Volatility trading: Based on the implied volatility curves [70][72][73] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price, and there is no return at the counter - price [74][76] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - Basic information: The trading volume of the main options is 118,126 lots, the open interest is 147,672 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.7% [80] - Volatility trading: Based on the implied volatility curves [82][85][87]

1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report presents data on the volatility of various futures and ETF options, including implied volatility, historical volatility, and real - time volatility. It also provides T - type quotation tables for different ETF options, along with trading suggestions for volatility and potential returns from risk - free arbitrage [3][19][23]. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50ETF - **Basic Information**: The trading volume of the main SSE 50ETF options on this day was 478,863 lots, the open interest was 929,034 lots, the volume ratio of call options to put options was 1.35, and the weighted average implied volatility was 13.56% [21]. - **Volatility Trading**: Suggestions are to sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.45% at the settlement price and 1.00% at the counter - price [27][29]. 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main Huatai - Berry SSE 300ETF options on this day was 420,997 lots, the open interest was 746,251 lots, the volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 14.13% [33]. - **Volatility Trading**: Similar to SSE 50ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [35]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 3.20% at the settlement price and 0.18% at the counter - price [39][40]. 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main Southern CSI 500ETF options on this day was 898,356 lots, the open interest was 745,967 lots, the volume ratio of call options to put options was 1.33, and the weighted average implied volatility was 14.79% [43]. - **Volatility Trading**: The same trading suggestions as above, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [45]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 41.7% at the settlement price and 8.96% at the counter - price [49][51]. 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR 50ETF options on this day was 265,461 lots, the open interest was 931,593 lots, the volume ratio of call options to put options was 1.68, and the weighted average implied volatility was 24.28% [54]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.4% at the settlement price and 3.20% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR 50ETF options on this day was 50,678 lots, the open interest was 253,221 lots, the volume ratio of call options to put options was 1.6, and the weighted average implied volatility was 24.71% [67]. - **Volatility Trading**: Similar trading suggestions, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [69]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.59% at the settlement price and 0.43% at the counter - price [73][75]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main Harvest SSE 300ETF options on this day was 87,577 lots, the open interest was 149,030 lots, the volume ratio of call options to put options was 1.28, and the weighted average implied volatility was 15.24% [79]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point below for the same month [81]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.5% at the settlement price and 0.82% at the counter - price [85][87].

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints The report presents the daily data of futures and options, including the implied volatility, historical volatility, and real - time volatility of various option targets. It also provides basic information, volatility trading suggestions, and risk - free arbitrage returns for options on different ETFs from multiple exchanges [3][6]. 3. Summary by Directory 3.1 Upper - Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main Shanghai 50ETF options is 651,474 lots, the open interest is 920,026 lots, the trading volume ratio of call to put options is 1.29, and the weighted average implied volatility is 13.88% [19][21]. - **Volatility Trading**: Suggest selling options with curves or points above and buying those below [23]. - **Risk - Free Arbitrage**: The minimum annualized return is 8.00% at the settlement price and 1.78% at the counter - price [27][29]. - **1.2 Huatai - Baorui CSI 300ETF** - **Basic Information**: The trading volume of the main options is 554,874 lots, the open interest is 734,306 lots, the trading volume ratio of call to put options is 1.32, and the weighted average implied volatility is 14.14% [30][33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell high - curve or high - point options and buy low ones [37]. - **Risk - Free Arbitrage**: The minimum annualized return is 3.62% at the settlement price and 0.39% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options is 816,723 lots, the open interest is 750,069 lots, the trading volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.33% [43][45]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [47]. - **Risk - Free Arbitrage**: The minimum annualized return is 51.6% at the settlement price and 10.8% at the counter - price [51][53]. - **1.4 Huaxia Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 269,625 lots, the open interest is 903,284 lots, the trading volume ratio of call to put options is 1.73, and the weighted average implied volatility is 24.47% [54][56]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [58]. - **Risk - Free Arbitrage**: The minimum annualized return is 7.30% at the settlement price and 2.13% at the counter - price [62][64]. - **1.5 E Fund Shanghai STAR Market 50ETF** - **Basic Information**: The trading volume of the main options is 62,645 lots, the open interest is 252,359 lots, the trading volume ratio of call to put options is 1.76, and the weighted average implied volatility is 24.37% [65][67]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [69]. - **Risk - Free Arbitrage**: The minimum annualized return is 10.1% at the settlement price, and there is no return at the counter - price [73][75]. 3.2 Shenzhen - Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options is 103,182 lots, the open interest is 146,512 lots, the trading volume ratio of call to put options is 1.13, and the weighted average implied volatility is 15.29% [76][79]. - **Volatility Trading**: Sell high - curve or high - point options and buy low ones [84]. - **Risk - Free Arbitrage**: The minimum annualized return is 17.2% at the settlement price and 1.33% at the counter - price [86][88].

1. Report Industry Investment Rating - Not provided in the content 2. Report's Core View - The report presents the daily data of various option targets, including the implied volatility of at - the - money options, 30 - day historical volatility, and the real daily amplitude. It also provides T - type quotes, trading volume, open interest, and implied volatility data of options on different ETFs and futures. Additionally, it offers volatility trading suggestions and calculates the minimum annualized return of the optimal arbitrage portfolio for different options [3][19][25] 3. Summary According to the Directory 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 525,793 lots, the open interest is 951,075 lots, the trading volume ratio of call options to put options is 1.23, and the weighted average implied volatility is 14.27%. The T - type quotes of call and put options at different strike prices are provided [19][21] - **Volatility Trading**: Different months: sell the months with the curve on top and buy the months with the curve below; same month: sell the options with points on the curve above and buy the options with points on the curve below [25] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.77% at the settlement price and 1.26% at the counter - party price [28][30] 3.1.2 Huatai - Berry SSE 300 ETF - **Basic Information**: The trading volume of the main options is 507,718 lots, the open interest is 739,326 lots, the trading volume ratio of call options to put options is 1.22, and the weighted average implied volatility is 14.55%. The T - type quotes of call and put options at different strike prices are provided [31][34] - **Volatility Trading**: Similar trading suggestions as SSE 50 ETF [38] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.98% at the settlement price and 2.27% at the counter - party price [41][43] 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 974,072 lots, the open interest is 754,518 lots, the trading volume ratio of call options to put options is 1.12, and the weighted average implied volatility is 16.28%. The T - type quotes of call and put options at different strike prices are provided [44][46] - **Volatility Trading**: Similar trading suggestions as above [50] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 42.4% at the settlement price and 9.35% at the counter - party price [53][55] 3.1.4 Huaxia SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 375,872 lots, the open interest is 900,656 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 24.95%. The T - type quotes of call and put options at different strike prices are provided [56][58] - **Volatility Trading**: Similar trading suggestions as above [60] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.3% at the settlement price and 0.60% at the counter - party price [65][67] 3.1.5 E Fund SSE STAR 50 ETF - **Basic Information**: The trading volume of the main options is 80,703 lots, the open interest is 252,728 lots, the trading volume ratio of call options to put options is 1.5, and the weighted average implied volatility is 25.38%. The T - type quotes of call and put options at different strike prices are provided [68][70] - **Volatility Trading**: Similar trading suggestions as above [72] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.10% at the settlement price, and there is no return at the counter - party price [76][78] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300 ETF - **Basic Information**: The trading volume of the main options is 96,931 lots, the open interest is 144,746 lots, the trading volume ratio of call options to put options is 1.3, and the weighted average implied volatility is 15.44%. The T - type quotes of call and put options at different strike prices are provided [79][82] - **Volatility Trading**: Similar trading suggestions as above [86] - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.6% at the settlement price and 0.43% at the counter - party price [89][91]

1. Report Overview - Report Title: Pioneer Futures Option Daily Report - Report Date: August 1, 2025 [1] 2. Option Volatility Ranking 2.1 Overall Ranking - The report provides the ranking of options based on at - the - money implied volatility, 30 - day historical volatility, and daily true amplitude for various options such as ps2509, 1c2509, etc. [3][5] 2.2 Volatility Indicators - At - the - money implied volatility reflects the market's expectation of future fluctuations of the variety. Higher values indicate a greater possibility of large - scale market movements. - 30 - day historical volatility reflects the actual past market movements of the variety. If it is smaller than the implied volatility, the option price may be relatively expensive. - Daily true amplitude reflects the intraday market movement of the variety on that day [6]. 3. Exchange - Specific Option Analysis 3.1 Shanghai Stock Exchange Options 3.1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 852,914 lots, the open interest is 935,948 lots, the trading volume ratio of call to put options is 1.27, and the weighted - average implied volatility is 14.58%. - **Volatility Trading**: Sell options in months with higher implied volatility curves and buy those in months with lower curves. For options in the same month, sell options with higher points on the curve and buy those with lower points. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.26% at the settlement price and 1.65% at the counter - price [19][21][23] 3.1.2 Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 725,335 lots, the open interest is 719,107 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 14.99%. - **Volatility Trading**: Similar trading suggestions as for Shanghai 50ETF. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 6.37% at the settlement price and 1.56% at the counter - price [30][33][39] 3.1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 943,166 lots, the open interest is 741,695 lots, the trading volume ratio of call to put options is 1.12, and the weighted - average implied volatility is 16.89%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.2% at the settlement price and 10.5% at the counter - price [43][45][49] 3.1.4 Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 643,615 lots, the open interest is 887,099 lots, the trading volume ratio of call to put options is 1.77, and the weighted - average implied volatility is 25.14%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.90% at the settlement price and 1.58% at the counter - price [55][57][61] 3.1.5 E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 129,738 lots, the open interest is 251,183 lots, the trading volume ratio of call to put options is 1.59, and the weighted - average implied volatility is 26.54%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 4.99% at the settlement price, and there is no return at the counter - price [67][68][71] 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 131,448 lots, the open interest is 143,587 lots, the trading volume ratio of call to put options is 1.29, and the weighted - average implied volatility is 15.85%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.3% at the settlement price and 1.31% at the counter - price [77][80][82] 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 1,318,988 lots, the open interest is 923,304 lots, the trading volume ratio of call to put options is 1.09, and the weighted - average implied volatility is 23.81%. - **Volatility Trading**: Similar trading suggestions as above. - **Risk - free Arbitrage**: Not mentioned in the provided content [89][91][93]